sharpe investments : sharpe futures

archived programs
Year-to-Date
N / A
Oct Performance
-5.57%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.56%
Sharpe (RFR=1%)
0.61
CAROR
13.72%
Assets
$ 7.9M
Worst DD
-31.55
S&P Correlation
0.00

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2005
sharpe futures -5.57 - - - - - 22.84 130.69
S&P 500 10.77 - - - - - 18.25 190.74
+/- S&P 500 -16.34 - - - - - 4.59 -60.05

Strategy Description

Summary

Sharpe Investments employs a mathematical-analytical approach in which all trading decisions are taken by an automatic trading model (AT). The AT is based on test software that we have designed over an extended period, and that allows us to test and develop numerous trading concepts.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors No

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 70.00%
4-12 Months 30.00%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

Sharpe Investments employs a mathematical-analytical approach in which all trading decisions are taken by an automatic trading model (AT). The AT is based on test software that we have designed over an extended period, and that allows us to test and develop numerous trading concepts. In principle, the AT is a multi-strategy TF and multi-market approach that aims at a maximum degree of diversification. The highly versatile software uses an open design which ensures its flexibility.

Investment Strategy

All the trading decisions result from a proprietary trading and risk management program developed by Sharpe Investments (Gibraltar) Ltd. The main features of this system are:• Purely statistical; • Auto-adaptive filtering; • Adaptive management; • A unique system applied to an ensemble of markets;Purely statistical: The system is 100 % statistical and systematic in nature. The only information fed to the system is the historical daily price time series. The system does not use any form of qualitative information and, most of all, the system is never overridden by human opinion.Auto-adaptive filtering: In order to extract relevant information from noise, the system starts by applying different filters to the time series of market data. These filters are multi-scale and auto-adaptive in nature. Thus, the system extracts short-, medium- and long-term information from the market using filters that automatically adapt their shape and time characteristics to the nature of the analysed data. Adaptive management: As a function of the output of the different filters, the system decides to adopt a certain management strategy. This strategy may be to follow medium-term or long-term trends in the market Also, the system may decide not to trade in a market for a certain period of time. Our system is adaptive in the sense that it can modify its management style with configuration changes, market rhythms, etc.. The identification of these changes of rhythm is the main difficulty faced by money managers. One of Sharpe´s Investments (Gibraltar) Ltd. unique, strong advantages lies in its ability to identify and to rapidly quantify these changes in a systematic and reliable manner.A unique system applied to an ensemble of markets: The system that we have developed is applied without any modification to all the markets on which we trade and its performance is satisfactory across the board. This result is extremely important because it means that our system detects information related to the fundamental structure of financial markets. This structure is not restricted to a particular market: this is why one of Sharpe´s Investments (Gibraltar) Ltd. main characteristics is to be able to operate on a large number of markets without any parameter tuning.

Risk Management

The first approach is diversification. Owing to the low correlation of the individual components of our portfolios, we achieve greater diversification. This enables us to obtain the same yield with less risk. For this reason, we trade in 85 highly liquid markets in all time zones.Furthermore, it is not sufficient to only diversify over several markets. By trading with various sub-systems which have a limited correlation between each other, much better results can be achieved.We have our own software, specially developed for this purpose, a so-called ‘dynamic allocation model’. This model uses ‘Walk Forward Testing’, a process that defines the optimum portfolio for a defined period and then tests it for a succeeding period of time. This ensures that our procedure delivers ‘out of sample’ yields.Our experience with this method shows that yields definitely did not follow a normal distribution and that mean value and variance of historical data are poor estimators for the mean value and variance of future data. The yields tend rather to follow the Pareto-Levy distribution we mentioned above.The result is that our own ‘dynamic allocation model’ strongly differs from the traditional methods of portfolio weighting.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Average Gain:
Gain Deviation:
Risk
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Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
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Reward/Risk
Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-31.55 2 5 6/1/2007 8/1/2007
-19.41 3 14 6/1/2008 9/1/2008
-15.27 3 5 4/1/2010 7/1/2010
-14.10 4 4 4/1/2006 8/1/2006
-11.95 2 3 1/1/2007 3/1/2007
-9.63 6 - 4/1/2011 10/1/2011
-8.72 3 1 2/1/2008 5/1/2008
-6.87 1 1 9/1/2005 10/1/2005
-4.37 2 2 11/1/2009 1/1/2010
-2.87 1 2 1/1/2006 2/1/2006
-0.70 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
39.37 3 12/1/2007 2/1/2008
36.09 2 9/1/2007 10/1/2007
25.53 3 11/1/2005 1/1/2006
23.24 3 12/1/2010 2/1/2011
21.57 5 9/1/2006 1/1/2007
19.86 4 10/1/2008 1/1/2009
17.91 3 4/1/2007 6/1/2007
15.99 3 8/1/2010 10/1/2010
15.72 1 6/1/2008 6/1/2008
15.25 4 6/1/2005 9/1/2005
9.85 2 3/1/2006 4/1/2006
9.15 1 7/1/2011 7/1/2011
8.40 3 2/1/2010 4/1/2010
7.17 3 7/1/2009 9/1/2009
4.08 1 11/1/2009 11/1/2009
2.87 1 4/1/2011 4/1/2011
0.11 1 4/1/2008 4/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.55 2 7/1/2007 8/1/2007
-19.41 3 7/1/2008 9/1/2008
-15.27 3 5/1/2010 7/1/2010
-14.10 4 5/1/2006 8/1/2006
-11.95 2 2/1/2007 3/1/2007
-9.26 2 5/1/2011 6/1/2011
-8.75 3 8/1/2011 10/1/2011
-8.31 1 3/1/2008 3/1/2008
-6.87 1 10/1/2005 10/1/2005
-6.34 1 11/1/2007 11/1/2007
-4.78 5 2/1/2009 6/1/2009
-4.37 2 12/1/2009 1/1/2010
-2.87 1 2/1/2006 2/1/2006
-1.88 1 11/1/2010 11/1/2010
-1.23 1 10/1/2009 10/1/2009
-0.70 1 3/1/2011 3/1/2011
-0.56 1 5/1/2008 5/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable55.1364.4765.7585.0788.5296.36100.00100.00
Average Period Return1.334.158.1514.9420.9327.8346.8665.32
Average Gain5.9810.5215.7518.2624.4529.0646.8665.32
Average Loss-4.52-7.42-6.45-3.95-6.15-4.86
Best Period19.3739.3777.6552.1580.9576.8794.51135.29
Worst Period-24.18-28.68-24.81-13.61-18.48-6.7115.7131.74
Standard Deviation7.0911.5015.9214.2017.2415.4815.8321.25
Gain Standard Deviation4.877.8814.2712.6414.9314.3515.8321.25
Loss Standard Deviation4.867.164.944.255.982.62
Sharpe Ratio (1%)0.180.340.480.981.131.672.772.88
Average Gain / Average Loss1.321.422.444.623.975.98
Profit / Loss Ratio1.672.574.6926.3230.66158.58
Downside Deviation (10%)4.546.645.953.965.323.270.01
Downside Deviation (5%)4.396.204.962.473.211.36
Downside Deviation (0%)4.356.094.722.182.800.99
Sortino Ratio (10%)0.200.440.952.512.515.383849.10
Sortino Ratio (5%)0.280.631.545.646.0619.04
Sortino Ratio (0%)0.310.681.736.857.4728.07

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.